Trussell said that since December, the department store group excluding Penney has seen shares climb roughly 24 percent, while the S&P 500 has only gained about 1 percent over the same period.

"Furthermore, we have concerns that an earlier Easter (4/1 this year vs. 4/16 last year) combined with unfavorable weather in March and April may have pressured comp sales during the first quarter," he said.

The one outlier, according to Deutsche Bank, could be Nordstrom, which has shown its business is "more insulated from weather patterns."

Instead of department store operators, the firm said it prefers retail brands, especially those that have pivoted and are selling more directly to consumers. That list includes Calvin Klein owner PVH, Michael Kors and Lululemon.